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CIA Task Force on Segregated Fund Investment Guarantees excerpt from the Canadian Institute of Actuaries
excerpt from the Canadian Institute of Actuaries A discussion of methods used to determine the liability ... liability of segregated fund or separate account investment guarantees. Asset modeling;Stochastic models; 10956 ...- Authors: 107929_firstname Canadian Institute of Actuaries
- Date: Jul 2001
- Competency: External Forces & Industry Knowledge>Actuarial theory in business context
- Publication Name: Risks & Rewards
- Topics: Modeling & Statistical Methods>Stochastic models
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Implementing the Longstaff-Schwartz Model
Implementing the Longstaff-Schwartz Model The article discusses that drawbacks of the HJM Heath-Jarrow-Morton ... Heath-Jarrow-Morton class of stochastic interest models and suggests the use of the Longstaff-Schwartz string ...- Authors: L SS
- Date: Oct 2002
- Competency: External Forces & Industry Knowledge>Actuarial theory in business context
- Publication Name: Risks & Rewards
- Topics: Modeling & Statistical Methods>Stochastic models
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GMDB Pricing:Comparing a Lognormal Model to a Regime-SwitchingLognormal Model
Regime-Switching Model of Long-Term Stock Returns” appears in the April 2001 issue of the North American Actuarial ... Journal. In it, Dr. Mary Hardy describes a model for future equity returns and some reasons why that model ...- Authors: Robert Stone
- Date: Oct 2002
- Competency: Technical Skills & Analytical Problem Solving>Problem analysis and definition
- Publication Name: Risks & Rewards
- Topics: Modeling & Statistical Methods>Stochastic models
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Economic Capital: A Case Study To Analyze Longevity Risk
Economic Capital: A Case Study To Analyze Longevity Risk Feature article discussing how ... requirements, but have largely disregarded the impact of mortality volatility on their liability assumptions ...- Authors: Stuart Silverman
- Date: Aug 2010
- Competency: External Forces & Industry Knowledge>Actuarial methods in business operations
- Publication Name: Risks & Rewards
- Topics: Finance & Investments>Economic capital; Modeling & Statistical Methods>Stochastic models
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Layering Your Own Views into a Stochastic Simulation - Without a Recalibration
a Recalibration Provides a metric based on the concept of "entropy" from information theory/signal ... pre-defined targets on average across the set. Explains the concept and develops it in simple examples ...- Authors: Tony Dardis, Loic Grandchamp-Desraux, David Antonio
- Date: Aug 2013
- Competency: Technical Skills & Analytical Problem Solving>Problem analysis and definition
- Publication Name: Risks & Rewards
- Topics: Modeling & Statistical Methods>Stochastic models
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Deflators - The Solution to a Stochastic Conundrum?
Deflators - The Solution to a Stochastic Conundrum? As stochastic modeling has evolved, it has divided ... shows how these paths may be re-united through the use of deflators. Scenario generation=Scenario generators=Economic ...- Authors: Don Wilson
- Date: Jul 2004
- Competency: External Forces & Industry Knowledge>Actuarial theory in business context
- Publication Name: Risks & Rewards
- Topics: Life Insurance; Modeling & Statistical Methods>Stochastic models
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Are Your Scenarios on Target?
2005, Issue No. 47. Actuaries are faced with the dilemma of how to incorporate advances in insurance products ... Increasingly, this means looking at a large number of potential outcomes using stochastic simulations.- Authors: Application Administrator
- Date: Aug 2005
- Competency: External Forces & Industry Knowledge>Actuarial theory in business context
- Publication Name: Risks & Rewards
- Topics: Modeling & Statistical Methods>Stochastic models
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Beware stochastic model risk!
Beware stochastic model risk! The article warns against treating the results of a stochastic model with more ... describes some hidden risks involved with choice of model and calibration. Statistical methods 9/17/2019 ...- Authors: Stephen Strommen
- Date: Sep 2019
- Competency: Professional Values; Technical Skills & Analytical Problem Solving
- Publication Name: Risks & Rewards
- Topics: Modeling & Statistical Methods; Modeling & Statistical Methods>Scenario generation; Modeling & Statistical Methods>Simulation; Modeling & Statistical Methods>Stochastic models
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Stochastic Model: A Telescope or Kaleidoscope?
Kaleidoscope? The author notes “a telescope and a kaleidoscope both provide a view but that is where the similarities ... pieces of glass. This article will analyze which analogy is closer to the stochastic modeling of interest ...- Authors: Vivek Gupta
- Date: Feb 2004
- Competency: External Forces & Industry Knowledge>Actuarial theory in business context
- Publication Name: Risks & Rewards
- Topics: Global Perspectives>Global markets; Modeling & Statistical Methods>Stochastic models
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Stochastic Volatility And Option Pricing
Stochastic Volatility And Option Pricing ... Feature article discussing the use of stochastic volatility models in the pricing of investments and options ...- Authors: Daniel Dufresne
- Date: Feb 2010
- Competency: Technical Skills & Analytical Problem Solving>Process and technique refinement
- Publication Name: Risks & Rewards
- Topics: Modeling & Statistical Methods>Stochastic models